COST Options History — July 2010

In July 2010, COST traded between $53.61 and $57.21. ATM implied volatility averaged 19.6%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 1.4% (HV 20d: 21.0%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2010-07-02: Highest Volume — 12,998 contracts
  • 2010-07-15: Largest IV spike — 32.5% change
  • 2010-07-01: Highest IV Rank — 55.3%
  • 2010-07-01: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.54$53.61$57.21$54.90$56.71
Max Pain$55.36$55.00$57.50$57.50$57.50
ATM IV19.6%14.3%24.9%24.9%17.0%
Expected Move5.8%4.9%7.2%7.2%4.9%
HV 20d21.0%17.1%25.3%21.2%24.5%
HV 60d22.5%21.0%24.4%21.1%24.4%
IV Rank34.8%14.5%55.3%55.3%24.8%
IV Percentile34.7%2.0%75.8%75.8%20.2%
Term Structure1.1%0.1%2.1%0.3%1.7%
VWIV21.1%18.0%27.3%27.3%18.8%
Skew 25d4.3%2.6%5.9%5.0%3.2%
Skew 10d10.2%7.5%12.9%12.6%7.5%
Call IV 25d18.8%16.5%23.8%23.8%16.8%
Put IV 25d23.2%19.7%28.8%28.8%20.0%
Bid-Ask Spread %5.433.967.685.317.68
Gamma HHI0.220.170.440.200.20
Net GEX-1.0M-4.9M13.0M-3.3M923.3K
Net DEX37.2M-62.0M129.2M91.1M-30.7M
Net VEX-1.4M-1.5M-1.2M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.344.011.531.43
Total Volume5,016.7141,86612,9985,6852,947
Total OI167,747.524146,291189,527168,631159,053

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$54.90$57.5024.9%7.2%21.2%55.3%27.3%5.0%0.3%-3.3M91.1M-1.5M1.535.312,2483,43792,99975,632
2010-07-02$54.23$57.5022.7%6.5%18.8%46.7%24.3%5.1%1.3%-3.0M112.0M-1.4M0.984.826,5716,42792,80576,689
2010-07-06$54.00$55.0023.9%6.6%18.8%51.2%25.5%5.9%1.0%-3.1M129.2M-1.4M0.615.371,6931,04098,16281,835
2010-07-07$54.29$55.0022.5%6.4%18.0%46.0%23.4%5.5%1.2%-3.1M119.0M-1.4M0.496.614,3622,12998,46882,101
2010-07-08$55.71$55.0020.3%6.2%19.9%37.7%22.0%4.2%1.1%-3.1M67.6M-1.4M0.625.395,2663,268100,32782,965
2010-07-09$56.19$55.0017.6%6.1%20.1%27.3%20.6%4.2%1.3%-3.5M45.8M-1.5M0.344.343,7971,287102,08483,223
2010-07-12$55.93$55.0019.8%6.1%20.2%35.7%20.9%4.0%1.3%-1.6M49.7M-1.4M0.874.081,5201,326104,33483,329
2010-07-13$56.51$55.0018.3%5.6%20.6%29.7%20.8%4.7%1.8%-4.5M22.9M-1.5M1.074.491,2851,376104,74283,626
2010-07-14$56.35$55.0014.3%5.6%17.5%14.5%21.1%4.8%1.9%-2.9M34.2M-1.5M3.114.699733,023104,59884,384
2010-07-15$56.55$55.0018.9%5.4%17.1%32.3%21.5%5.1%2.1%-4.9M25.3M-1.5M1.283.969241,186104,55784,666
2010-07-16$54.98$55.0021.0%6.0%19.3%40.1%21.8%4.9%1.6%13.0M98.8M-1.4M0.364.526,1942,203104,54584,982
2010-07-19$54.82$55.0019.3%5.5%19.3%33.8%21.0%4.6%0.8%-1.6M24.3M-1.4M0.775.822,9792,28585,51560,776
2010-07-20$55.09$55.0018.6%5.3%19.4%31.2%19.9%3.9%0.3%-1.7M23.4M-1.3M0.846.522,7302,28684,44861,848
2010-07-21$53.61$55.0021.6%6.2%21.3%42.4%20.6%5.0%0.1%-3.5M64.8M-1.2M1.024.882,1882,23885,13162,433
2010-07-22$54.90$55.0018.4%5.3%23.5%30.3%19.2%3.7%0.8%-1.6M24.1M-1.3M0.546.562,1901,17885,48562,832
2010-07-23$55.95$55.0018.1%5.2%23.5%29.1%18.0%3.2%0.9%237.4K-11.9M-1.4M0.607.442,0681,23987,07062,838
2010-07-26$55.71$55.0018.4%5.3%23.4%30.1%19.3%3.8%1.1%16.2K-1.9M-1.3M1.264.278251,04187,89063,243
2010-07-27$57.21$55.0017.6%5.0%25.3%27.1%19.2%2.6%0.8%4.0M-62.0M-1.4M0.805.693,8063,02988,22663,753
2010-07-28$56.51$55.0017.8%5.1%24.8%28.1%18.1%3.8%1.3%2.4M-36.3M-1.4M4.016.481,7647,07588,78264,127
2010-07-29$56.21$55.0020.0%5.7%24.3%36.3%20.1%3.7%1.0%-341.5K-8.1M-1.4M1.675.157291,21989,39368,802
2010-07-30$56.71$57.5017.0%4.9%24.5%24.8%18.8%3.2%1.7%923.3K-30.7M-1.4M1.437.681,2131,73489,49269,561